The present invention relates to data stream analysis and it relates specifically to a computer-implemented method for adaptive modeling of a data stream.
It is often necessary or desirable to analyze a data stream, such as a data stream originating from a real-time physical sensor, a currency feed or a computer system, in order to identify potential anomalies, detect regime shifts, monitor risk factors, make predictions, or the like. A common technique used in data stream analysis is the fitting of a statistical model to a particular data stream, thereby to approximate underlying dynamics of the data stream.
In the context of this specification, the term “data stream” may be used to refer to a data stream comprising real numbers only and does not encompass non-numeric data streams. Furthermore, the terms “observation” and “data point” are interchangeably used to refer to individual components of a data stream.